The list of recently used shares which is populated under the Map Network Drive drop-down box comes from the following registry location:

HKEY_CURRENT_USER \ Software \ Microsoft \ Windows \ CurrentVersion \ Explorer \ Map Network Drive MRU

To remove unwanted entries from the drop-down, open Registry Editor (regedit.exe) and navigate to the above location.

Backup the registry key to a REG file. Then, in the right-pane, delete the corresponding values accordingly.